In 2006, Cone wrote, produced, and directed his first short film Church Story with actors Isabel Liss, Bill McGough, and Arian Moayed. In 2007, Cone followed with the short film Young Wives. His medium-length film, a metaphysical drama called The Christians, was completed in 2008 and featured performances by J. Kingsford Goode, Bill McGough, Arian Moayed, Sadie Rogers, Laurel Schroeder, Krissy Shields, and Robert Belushi, oldest son of actor Jim Belushi.

Cone's next feature film, the full-length In Memoriam, released in 2011, follows a group of college students reenacting the last hours of two dead peers who fell to their deaths attempting to make love. In Memoriam was praised by film critic Roger Ebert as "a touching film."[3] Cone later reflected on the effect Ebert's review had, writing:

I had had almost zero success or exposure up to that point. In Memoriam was bombing with festival programmers. I, to this day, do not know why he reviewed that film, and I can't believe he actually liked it. (I'm too hard on that film, I think.) I'm not sure I would've kept going without a) those Ebert reviews, and b) programmer Kim Yutani programming The Wise Kids at Outfest.[4]

In 2013, Cone released his fourth theatrical film Black Box. While not as widely seen as The Wise Kids due to an initial lack of distribution,[9] the film garnered praise from Newcity's Ray Pride[10] and Michael Phillips of the Chicago Tribune, who gave the film 3½ out of 4 stars and called it "a worthy follow-up to Cone's previous film."[11]Black Box was later acquired by Devolver Digital Films for a late 2014 cable/VOD release.